Sounds like you don't have .NET installed and patched. Be sure to visit the Microsoft website and make sure you have as much .NET 2.0 installed and patched as you can get. Then be sure to run it as administrator.
Other problems I've see is if you are running it from a windows file share directory. Sometimes this doesn't work, so move the location where you have the executable placed. I have never had Vista installed on any computer I've owned. I've run SUO from my girlfriends Vista box, so I know it's possible.
Also if it does crash with information, please PM me whatever the error is. That'll help track down if it's a path issue, .NET issue, or another unknown crash source.